Luc Bauwens : Citation Profile

Université Catholique de Louvain

27

H index

54

i10 index

3894

Citations

RESEARCH PRODUCTION:

58

Articles

197

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 94
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 85 (2.14 %)

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   Permalink: http://citec.repec.org/pba4
   Updated: 2025-03-22    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Otranto, Edoardo (5)

Chevillon, Guillaume (4)

Xu, Yongdeng (4)

Laurent, Sébastien (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

Hautsch, Nikolaus (58)

Caporin, Massimiliano (53)

Maheu, John (46)

Rombouts, Jeroen (42)

van Dijk, Herman (41)

Hafner, Christian (35)

Asai, Manabu (35)

Dufays, Arnaud (34)

Stentoft, Lars (33)

Francq, Christian (30)

Gallo, Giampiero (29)

Cites to:

Engle, Robert (93)

Bollerslev, Tim (60)

Hansen, Peter (35)

Shephard, Neil (35)

Rombouts, Jeroen (34)

Laurent, Sébastien (32)

van Dijk, Herman (32)

Lunde, Asger (28)

Sheppard, Kevin (24)

Andersen, Torben (22)

Giot, Pierre (22)

Main data

Production by document typebookarticlechapterpaper19831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402040Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 27Most cited documents123456789101112131415161718192021222324252627282905001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Luc Bauwens has published?

Journals with more than one article published# docs
Journal of Econometrics12
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
International Journal of Forecasting3
Journal of Business & Economic Statistics3
Empirical Economics3
Annals of Economics and Statistics3
Econometrics Journal3
Journal of Applied Econometrics2
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2
Journal of Empirical Finance2
Econometric Reviews2
European Economic Review2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - D�partement des Sciences Economiques) / Universit� catholique de Louvain, D�partement des Sciences Economiques11
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit� catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
Computing in Economics and Finance 2002 / Society for Computational Economics3
LIDAM Discussion Papers ISBA / Universit� catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
LIDAM Reprints ISBA / Universit� catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk2
Working Paper series / Rimini Centre for Economic Analysis2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Post-Print / HAL2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section2

Recent works citing Luc Bauwens (2025 and 2024)

Year  ↓Title of citing document  ↓
2024A Learning Model with Memory in the Financial Markets. (2024). Mishra, Tapas ; DIEBOLT, Claude ; Chandrasena, Supun ; Sing, Shikta ; Enilov, Martin ; Alhussain, Abdullah ; Shi, Yue. In: Working Papers. RePEc:afc:wpaper:06-24.

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2024Bayesian inference for income inequality using a Pareto II tail with an uncertain threshold: Combining EU-SILC and WID data. (2024). Silva, Mathias ; Lubrano, Michel. In: AMSE Working Papers. RePEc:aim:wpaimx:2429.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2024Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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2024Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Asset Hedging via Digital Asset Indices. (2025). Shalvardjiev, Dimiter. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:63-88.

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2025An Evaluation and Comparative Analysis of Fiscal and Macrofinancial Policies during the COVID-19 Pandemic: The Case of Bulgaria in the Balkan Context. (2025). Elveren, Adem Y ; Elgin, Ceyhun. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:89-112.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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202430 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007.

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2024.

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2024Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework. (2024). Chang-Jin, Kim ; Shih-Tang, Hwu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:177-199:n:1.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Forecasting Volatility Spillovers Using Advanced GARCH Models: Empirical Evidence for Developed Stock Markets from Austria and USA. (2024). Florescu, Ion ; Anand, Abhishek ; Spulbar, Cristi ; Birau, Ramona ; Kumari, Puja ; Meher, Bharat Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:1:p:16-29.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Break a peg! A study of stablecoin co-instability. (2024). Vito, Liuzzi ; Patrice, Sargenti ; Alessio, Castello ; Gregory, Gadzinski. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005404.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma M ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024ERC science and invention: Does ERC break free from the EU Paradox?. (2024). Breschi, Stefano ; Nagar, Jay Prakash ; Fosfuri, Andrea. In: Research Policy. RePEc:eee:respol:v:53:y:2024:i:8:s0048733324000878.

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2024Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497.

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2024Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Song, Malin ; Shen, Z Y ; Li, Guangchen ; Wei, Weixian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484.

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2025Towards the estimation of ESG ratings: A machine learning approach using balance sheet ratios. (2025). Cini, Federico ; Ferrari, Annalisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400446x.

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2025The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

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2025.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Quiroz, Matias ; Manner, Hans ; Tafakori, Laleh. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2024LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Garcia-Medina, Andres ; Aguayo-Moreno, Ester. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). Luo, Jiawen ; Fu, Shengjie ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202420.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2024.

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2025Incorporating causal notions to forecasting time series: a case study. (2025). Michell, Kevin ; Minutolo, Marcel C ; Kristjanpoller, Werner ; Llanos, Cristian. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00681-9.

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2025Multivariate GARCH models with spherical parameterizations: an oil price application. (2025). de Blasis, Riccardo ; Ballestra, Luca Vincenzo ; Pacelli, Graziella. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00683-7.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2024The Role of Analytics in Achieving the Sustainable Development Goal of Zero Hunger. (2024). Fleuren, Hein ; Cruijssen, Frans ; Peters, Koen. In: Discussion Paper. RePEc:tiu:tiucen:a228bc07-76f6-4405-b563-87a64d2fd4b0.

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2024The Role of Analytics in Achieving the Sustainable Development Goal of Zero Hunger. (2024). Cruijssen, Frans ; Fleuren, H A ; Peters, Koen. In: Other publications TiSEM. RePEc:tiu:tiutis:a228bc07-76f6-4405-b563-87a64d2fd4b0.

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2024Identifying structural shocks to volatility through a proxy-MGARCH model. (2021). Polivka, Jeannine ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2021:03.

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2024Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data. (2024). Randell, David ; Jonathan, Philip ; Tendijck, Stan ; Tawn, Jonathan. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:3:n:e2834.

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2024.

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2025.

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Luc Bauwens has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Luc Bauwens:

Year  ↓Title  ↓Type  ↓Cited  ↓
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
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2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE.
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2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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1991Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE.
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1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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1991The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 5		paper
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
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1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2023We modeled long memory with just one lag!.(2023) In: LIDAM Reprints CORE.
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2023We modeled long memory with just one lag!.(2023) In: Journal of Econometrics.
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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE.
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1999Recent developments in the econometrics of financial markets using intra-day data In: LIDAM Reprints CORE.
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1999Trends and breaking points in the Bayesian econometric literature In: LIDAM Reprints CORE.
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2000Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE.
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2000Art experts and auctions are pre-sale estimates unbiased and fully informative? In: LIDAM Reprints CORE.
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2000Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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2000Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository.
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2002Bayesian option pricing using asymmetric GARCH models In: LIDAM Reprints CORE.
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2002Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance.
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2000Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M..
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2003Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE.
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2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: LIDAM Reprints CORE.
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2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics.
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2003Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers.
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2006Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: LIDAM Reprints CORE.
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2006Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies.
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2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
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2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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2014A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE.
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2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance.
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2015The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2016Estimation and Empirical Performance of Non-Scalar DCC Models In: LIDAM Reprints CORE.
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2016Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE.
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2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
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1983An export model for the Belgian industry.(1983) In: European Economic Review.
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1983Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: LIDAM Reprints CORE.
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1983Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration.(1983) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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1985A 1-1 poly-t random variable generator with application to Monte Carlo integration In: LIDAM Reprints CORE.
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1985A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics.
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1991The law of large (small?) numbers and the demand for insurance In: LIDAM Reprints CORE.
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1990THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M..
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1998Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers.
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1998Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers.
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2002Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers.
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2007Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers.
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2011Multivariate Volatility Modeling of Electricity Futures In: SFB 649 Discussion Papers.
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